Derivatives
On any given day, the derivatives market is a busy place. You won’t catch us trying to cover it all. Instead, we’re looking for themes, trends and structural changes that affect the market’s buy-side participants.
Right now, our favourite topics include: Libor reform, structured investments and risk transfer, the search for yield, and new ways of accessing liquidity.
Stay ahead of the fixing lag
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
Ice swap rate adds RFQ data; adopts Sonia
Industry backs overhaul of term swap rate to curb non-publication and hasten Libor switch
All clear? Structural shifts add to repo madness
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
CFTC set to eliminate post-trade name give-up
Practice has been a mainstay of Sef trading but chairman Tarbert wants it gone
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Lloyds wins consent to flip £1bn covered bond to Sonia
The conversion, backed by 99.84% of bondholders, marks another milestone in the Libor transition
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
Synthetic Libor mooted as ‘tough legacy’ fix
Recalibration of doomed rate or catch-all legislation under debate as lifeline for lingering contracts
Buy side seeks non-cleared margin relief for SMAs
Sifma AMG calls for $50 million IM exchange threshold to be set annually
Volume-starved SOFR leaves quant hankering for data
At T. Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
Tradeweb reveals package trading for swaps and bonds
New tool offers pricing and trading of sterling swap-bond combo
CFTC refuses to budge on margin treatment of SMAs
Asset managers must agree new protocols for dealing with margin shortfalls in SMAs by September 2020
Clearstream, Euroclear eye buy-side bonanza as IM rules loom
Depositories offer access to automated margining in different ways, but each faces challenges
CDS fix seeks support for January lift-off
Manufactured defaults protocol opens on September 13, forcing users to consider valuation impact
Libor takes a back seat as insurers await regulatory clarity
Eiopa silence on discount curves holds back transition plans
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Swaps data: analysing the US rates collapse
Prices collapse and expected worst-loss numbers hit new records
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
Margin Xchange iced after regulators lift IM burden
A&O-backed platform quits two-horse race, leaving Linklaters-backed service with a clear run
Korean regulator likely to probe issuers of rate-linked products
Mis-selling enquiry may extend to structuring banks as global rates plunge threatens retail notes
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals